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A note on a Bayesian order determination procedure for vectorautoregressive processes |
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| Authors: | Markus Heintel |
| Affiliation: | 1. Department of Economics, University of Munich, Ludwigstra?e 33/IV, D-80539, München, Germany |
| Abstract: | This paper describes the posterior distribution of the order of a vectorautoregressive model and demonstrates its practical utility via some simulations. |
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